Fix a,b∈ℂ, let LW(a,b) be the loop W(a,b) Lie algebra over ℂ with basis {Lα,i,Iβ,j|α,β,i,j∈ℤ} and relations [Lα,i,Lβ,j]=(α−β)Lα+β,i+j,[Lα,i,Iβ,j]=−(a+bα+β)Iα+β,i+j,[Iα,i,Iβ,j]=0, where α,β,i,j∈ℤ. In this paper, a formal distribution Lie algebra of LW(a,b) is constructed. Then the associated conformal algebra CLW(a,b) is studied, where CLW(a,b) has a ℂ[∂]-basis {Li,Ij|i,j∈ℤ} with λ-brackets [LiλLj]=(∂+2λ)Li+j,[LiλIj]=(∂+(1−b)λ)Ii+j and [IiλIj]=0. In particular, we determine the conformal derivations and rank one conformal modules of this conformal algebra. Finally, we study the central extensions and extensions of conformal modules.